December 2012 Optimal design of dynamic default risk measures
Leo Shen, Robert Elliott
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J. Appl. Probab. 49(4): 967-977 (December 2012). DOI: 10.1239/jap/1354716651

Abstract

We consider the question of an optimal transaction between two investors to minimize their risks. We define a dynamic entropic risk measure using backward stochastic differential equations related to a continuous-time single jump process. The inf-convolution of dynamic entropic risk measures is a key transformation in solving the optimization problem.

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Leo Shen. Robert Elliott. "Optimal design of dynamic default risk measures." J. Appl. Probab. 49 (4) 967 - 977, December 2012. https://doi.org/10.1239/jap/1354716651

Information

Published: December 2012
First available in Project Euclid: 5 December 2012

zbMATH: 1262.60055
MathSciNet: MR3058982
Digital Object Identifier: 10.1239/jap/1354716651

Subjects:
Primary: 60H10
Secondary: 60G42 , 65C30

Keywords: backward stochastic differential equation , dynamic entropic risk measure , inf-convolution , single jump process

Rights: Copyright © 2012 Applied Probability Trust

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Vol.49 • No. 4 • December 2012
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